[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement ReturnsManager.cs, 1.3, 1.4

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23667/b4_Business/a2_Strategies/returnsManagement

Modified Files:
	ReturnsManager.cs 
Log Message:
- in the previous version, this class was an abstract class (returns where actually computed by classes inheriting ReturnsManager)
- in this version, instead, this class itself computes returns
- now, an object of type ReturnIntervals must be given to the constructor: returns will be computed on such intervals
- now, a IHistoricalQuoteProvider is also required by the constructor: this way, it can be decided either to use adjusted quotes or raw quotes

Index: ReturnsManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/ReturnsManager.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** ReturnsManager.cs	4 Aug 2007 19:59:08 -0000	1.3
--- ReturnsManager.cs	16 Sep 2007 22:00:27 -0000	1.4
***************
*** 27,30 ****
--- 27,33 ----
  using QuantProject.ADT.Histories;
  using QuantProject.ADT.Statistics;
+ using QuantProject.Business.DataProviders;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
+ using QuantProject.Business.Timing;
  using QuantProject.Data.DataTables;
  
***************
*** 32,42 ****
  {
  	/// <summary>
! 	/// This abstract class is used to keep and provide, in an efficient
! 	/// way, array of returns (to be used by in sample optimizations)
  	/// </summary>
! 	public abstract class ReturnsManager
  	{
! 		protected History timeLineForQuotes; // if we have n market days for quotes,
! 		// we will then have n-1 returns
  		
  		private Set tickersMissingQuotes;
--- 35,46 ----
  {
  	/// <summary>
! 	/// This class is used to keep and provide, in an efficient
! 	/// way, array of returns on EndOfDayIntervals (to be used
! 	/// by in sample optimizations)
  	/// </summary>
! 	public class ReturnsManager
  	{
! 		private ReturnIntervals returnIntervals; // a return for each interval
! 		private IHistoricalQuoteProvider historicalQuoteProvider; 
  		
  		private Set tickersMissingQuotes;
***************
*** 46,77 ****
  
  		/// <summary>
! 		/// Dates when quotes are computed. If TimeLine contains
! 		/// n elements, then returns are n-1 elements
  		/// </summary>
! 		public History TimeLine
  		{
! 			get { return this.timeLineForQuotes; }
  		}
  
  		/// <summary>
! 		/// Number of returns, that is TimeLine's elements minus 1
  		/// </summary>
  		public int NumberOfReturns
  		{
! 			get { return this.TimeLine.Count - 1; }
! 		}
! 		protected DateTime firstDateTime
! 		{
! 			get { return this.timeLineForQuotes.GetDateTime( 0 ); }
! 		}
! 		protected DateTime lastDateTime
! 		{
! 			get
! 			{
! 				int lastIndex = this.timeLineForQuotes.Count - 1;
! 				return this.timeLineForQuotes.GetDateTime( lastIndex );
! 			}
  		}
! 
  		/// <summary>
  		/// Abstract class used to store and efficiently provide arrays of
--- 50,80 ----
  
  		/// <summary>
! 		/// End of day intervals on which returns are computed
  		/// </summary>
! 		public ReturnIntervals ReturnIntervals
  		{
! 			get { return this.returnIntervals; }
  		}
  
  		/// <summary>
! 		/// Number of returns, that is number of intervals
  		/// </summary>
  		public int NumberOfReturns
  		{
! 			get { return this.returnIntervals.Count; }
  		}
! //		protected DateTime firstDateTime
! //		{
! //			get { return this.timeLineForQuotes.GetDateTime( 0 ); }
! //		}
! //		protected DateTime lastDateTime
! //		{
! //			get
! //			{
! //				int lastIndex = this.timeLineForQuotes.Count - 1;
! //				return this.timeLineForQuotes.GetDateTime( lastIndex );
! //			}
! //		}
! //
  		/// <summary>
  		/// Abstract class used to store and efficiently provide arrays of
***************
*** 87,103 ****
  		/// for the benchmark, each array of returns will have exactly
  		/// n-1 elements</param>
! 		public ReturnsManager( DateTime firstDate , DateTime lastDate ,
! 			string benchmark )
! 		{
! 			// TO DO: let WFLagEligibleTickers use this class also!!!
! 			this.timeLineForQuotes =
! 				this.getMarketDaysForQuotes( firstDate , lastDate , benchmark );
! 			this.commonInitialization();
! 		}
! 		public ReturnsManager( History timeLine )
  		{
  			// TO DO: let WFLagEligibleTickers use this class also!!!
! 			this.timeLineForQuotes = timeLine;
  			this.commonInitialization();
  		}
  		private void commonInitialization()
--- 90,108 ----
  		/// for the benchmark, each array of returns will have exactly
  		/// n-1 elements</param>
! //		public ReturnsManager( DateTime firstDate , DateTime lastDate ,
! //			string benchmark )
! //		{
! //			// TO DO: let WFLagEligibleTickers use this class also!!!
! //			this.timeLineForQuotes =
! //				this.getMarketDaysForQuotes( firstDate , lastDate , benchmark );
! //			this.commonInitialization();
! //		}
! 		public ReturnsManager( ReturnIntervals returnIntervals ,
! 			IHistoricalQuoteProvider historicalQuoteProvider )
  		{
  			// TO DO: let WFLagEligibleTickers use this class also!!!
! 			this.returnIntervals = returnIntervals;
  			this.commonInitialization();
+ 			this.historicalQuoteProvider = historicalQuoteProvider;
  		}
  		private void commonInitialization()
***************
*** 117,121 ****
  		private bool isAValidIndexForAReturn( int index )
  		{
! 			return ( ( index >= 0 ) && ( index <= this.TimeLine.Count - 2 ) );
  		}
  		#region GetReturns
--- 122,127 ----
  		private bool isAValidIndexForAReturn( int index )
  		{
! 			return ( ( index >= 0 ) &&
! 				( index <= this.ReturnIntervals.Count - 1 ) );
  		}
  		#region GetReturns
***************
*** 124,166 ****
  			return this.tickersReturns.ContainsKey( ticker );
  		}
! 		protected abstract History getQuotes( string ticker );
  		#region setReturns
! 		private bool areMarketDaysForQuotesAllCovered( History returns )
! 		{
! 			bool areAllCovered = true;
! 			foreach ( DateTime dateTime in this.timeLineForQuotes.TimeLine  )
! 				if ( !returns.ContainsKey( dateTime ) )
! 					areAllCovered = false;
! 			return areAllCovered;
! 		}
! 		private float selectReturnWithRespectToTheTimeLine( History quotes ,
! 			int i )
  		{
! 			float currentQuote = (float)quotes.GetByIndex( i );
! 			float nextQuote = (float)quotes.GetByIndex( i + 1 );
! 			float currentReturn = nextQuote / currentQuote - 1;
! 			return currentReturn;
  		}
! 		private float[] selectReturnsWithRespectToTheTimeLine( History quotes )
  		{
  			// TO DO: this method is n log n, it could be implemented to
  			// be have a linear complexity!!!
! 			float[] returnsWithRespectToTheTimeLine =
! 				new float[ this.timeLineForQuotes.Count - 1 ];
! 			for ( int i = 0 ; i < this.timeLineForQuotes.Count - 1 ; i++ )
! 				returnsWithRespectToTheTimeLine[ i ] =
! 					this.selectReturnWithRespectToTheTimeLine( quotes , i );
! 			return returnsWithRespectToTheTimeLine;
  		}
! 		private void setReturnsActually( string ticker , History quotes )
  		{
  			float[] arrayOfReturns =
! 				this.selectReturnsWithRespectToTheTimeLine( quotes );
  			this.tickersReturns.Add( ticker , arrayOfReturns );
  		}
! 		private void setReturns( string ticker , History quotes )
  		{
! 			if ( this.areMarketDaysForQuotesAllCovered( quotes ) )
! 				this.setReturnsActually( ticker , quotes );
  			else
  				this.tickersMissingQuotes.Add( ticker );
--- 130,170 ----
  			return this.tickersReturns.ContainsKey( ticker );
  		}
! //		protected abstract History getQuotes( string ticker );
  		#region setReturns
! 		private float selectReturnWithRespectToTheGivenIterval(
! 			EndOfDayHistory endOfDayQuotes , int i )
  		{
! 			ReturnInterval returnInterval =
! 				this.returnIntervals[ i ];
! 			double firstQuote = (double)endOfDayQuotes[ returnInterval.Begin ];
! 			double lastQuote = (double)endOfDayQuotes[ returnInterval.End ];
! 			float intervalReturn = Convert.ToSingle( firstQuote / lastQuote - 1 );
! 			return intervalReturn;
  		}
! 		private float[] selectReturnsWithRespectToTheGivenIntervals(
! 			EndOfDayHistory endOfDayQuotes )
  		{
  			// TO DO: this method is n log n, it could be implemented to
  			// be have a linear complexity!!!
! 			float[] returnsWithRespectToTheGivenIntervals =
! 				new float[ this.returnIntervals.Count ];
! 			for ( int i = 0 ; i < this.returnIntervals.Count - 1 ; i++ )
! 				returnsWithRespectToTheGivenIntervals[ i ] =
! 					this.selectReturnWithRespectToTheGivenIterval( endOfDayQuotes , i );
! 			return returnsWithRespectToTheGivenIntervals;
  		}
! 		private void setReturnsActually( string ticker ,
! 			EndOfDayHistory endOfDayQuotes )
  		{
  			float[] arrayOfReturns =
! 				this.selectReturnsWithRespectToTheGivenIntervals( endOfDayQuotes );
  			this.tickersReturns.Add( ticker , arrayOfReturns );
  		}
! 		private void setReturns( string ticker ,
! 			EndOfDayHistory endOfDayQuotes )
  		{
! 			if ( this.returnIntervals.AreIntervalBordersAllCoveredBy(
! 				endOfDayQuotes ) )
! 				this.setReturnsActually( ticker , endOfDayQuotes );
  			else
  				this.tickersMissingQuotes.Add( ticker );
***************
*** 168,173 ****
  		private void setReturns( string ticker )
  		{
! 			History quotes = this.getQuotes( ticker );
! 			this.setReturns( ticker , quotes );
  		}
  		#endregion setReturns
--- 172,183 ----
  		private void setReturns( string ticker )
  		{
! //			EndOfDayDateTime firstEndOfDayDateTime =
! //				this.returnIntervals[ 0 ].Begin;
! //			EndOfDayDateTime lastEndOfDayDateTime =
! //				this.returnIntervals.LastEndOfDayDateTime;
! 			EndOfDayHistory endOfDayQuotes =
! 				this.historicalQuoteProvider.GetEndOfDayQuotes( ticker ,
! 				this.returnIntervals.BordersHistory );
! 			this.setReturns( ticker , endOfDayQuotes );
  		}
  		#endregion setReturns